Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 4 | 4 |
| Score | 4.16 | 4.25 | 4.58 |
| Market Cap (Millions USD) | 14342.41 | 13988.98 | 14140.04 |
| Predicted Beta | 1.51 | 1.52 | 1.5 |
| Idiosyncratic Volatility | 2.21 | 2.91 | 3.21 |
Annualized return and volatility
| XLY | |
|---|---|
| Annualized Return | 0.0856 |
| Annualized Std Dev | 0.2157 |
| Annualized Sharpe (Rf=0%) | 0.3970 |
Row
Daily Return Statistics
| XLY | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1162 |
| Quartile 1 | -0.0057 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0070 |
| Maximum | 0.0978 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0136 |
| Skewness | -0.1011 |
| Kurtosis | 6.0287 |
Downside Risk
| XLY | |
|---|---|
| Semi Deviation | 0.0097 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0143 |
| Downside Deviation (Rf=0%) | 0.0095 |
| Downside Deviation (0%) | 0.0095 |
| Maximum Drawdown | 0.5905 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0319 |
| Modified VaR (95%) | -0.0207 |
| Modified ES (95%) | -0.0339 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-01-27 | -0.5905 | 938 | 455 | 483 |
| 2000-04-12 | 2001-09-20 | 2002-03-15 | -0.3154 | 489 | 366 | 123 |
| 2002-03-20 | 2003-03-12 | 2003-11-07 | -0.3153 | 424 | 253 | 171 |
| 2018-09-21 | 2018-12-24 | 2019-04-04 | -0.2137 | 136 | 66 | 70 |
| 2000-01-10 | 2000-02-24 | 2000-04-10 | -0.2086 | 65 | 32 | 33 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLY | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 3.6 | -1.2 | 0.0 | 3.1 | 0.7 | 0.0 | 1.4 | 2.0 | 0.0 | 0.8 | 0.1 | 0.0 | 11.1 |
| 2001 | -0.1 | -1.6 | 0.0 | 1.1 | -0.4 | 0.0 | -0.1 | 0.0 | -0.1 | 1.9 | 0.0 | 0.0 | 0.6 |
| 2002 | -1.0 | 0.9 | -1.9 | 0.5 | 0.0 | -3.0 | -3.1 | 0.0 | 2.8 | 1.5 | 0.0 | 0.0 | -3.3 |
| 2003 | 0.0 | 0.0 | 1.2 | -0.9 | 0.0 | -0.2 | -0.1 | 0.0 | 2.8 | 0.0 | 1.0 | 0.0 | 3.7 |
| 2004 | 0.0 | 0.6 | 0.4 | 0.0 | -0.1 | -0.6 | 0.0 | 0.3 | 1.3 | 0.4 | 1.6 | 0.0 | 4.0 |
| 2005 | 0.1 | 1.1 | -0.8 | 0.0 | 0.4 | 0.2 | 0.0 | -1.0 | 0.0 | 0.1 | 1.1 | 0.0 | 1.3 |
| 2006 | 0.3 | 0.7 | 0.0 | -0.6 | 1.6 | 0.0 | -0.9 | 0.8 | 0.0 | -0.8 | -0.1 | 0.0 | 1.0 |
| 2007 | 0.4 | -0.6 | 0.0 | 0.3 | 0.6 | 0.0 | 0.1 | 0.0 | 1.3 | -2.5 | 0.0 | 0.0 | -0.5 |
| 2008 | 0.9 | 0.0 | 4.5 | 5.8 | 0.0 | -1.3 | -1.0 | 0.0 | 0.0 | 0.0 | -8.7 | 0.0 | -0.5 |
| 2009 | 0.0 | 0.0 | 1.8 | -0.5 | 4.8 | 0.6 | 0.0 | -1.8 | -2.2 | 0.0 | 1.6 | 0.0 | 4.3 |
| 2010 | 1.3 | 1.6 | 0.7 | 0.0 | -1.5 | 0.8 | 0.0 | 3.4 | 0.1 | -0.2 | 2.1 | 0.0 | 8.6 |
| 2011 | 1.2 | -1.9 | 0.6 | 0.0 | -2.3 | 2.0 | -0.5 | -1.2 | 0.0 | -2.2 | 0.1 | 0.0 | -4.2 |
| 2012 | 0.3 | 0.8 | 0.0 | 0.7 | -3.2 | 0.0 | -0.4 | 0.0 | -0.1 | 1.2 | 0.0 | 0.0 | -0.7 |
| 2013 | 0.6 | 0.2 | -0.8 | -0.5 | 0.0 | 0.7 | 1.5 | 0.0 | 0.8 | 0.2 | 0.0 | 0.0 | 2.8 |
| 2014 | 0.0 | 0.0 | 1.4 | 0.4 | 0.0 | 1.1 | -0.4 | 0.0 | -1.3 | 0.0 | -1.1 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.4 | 0.3 | 1.1 | 0.0 | -2.5 | 0.7 | 0.0 | 1.0 | 0.0 | 1.6 |
| 2016 | 0.6 | 2.6 | 0.4 | 0.0 | -0.1 | 1.0 | 0.2 | 0.2 | 0.0 | -0.7 | 0.0 | 0.0 | 4.4 |
| 2017 | -0.2 | 1.1 | 0.0 | 0.1 | 0.9 | 0.0 | 0.2 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 2.7 |
| 2018 | -1.1 | -1.1 | 0.0 | 0.1 | 0.7 | 0.0 | -0.5 | 0.0 | -0.3 | 2.0 | 0.0 | 0.0 | -0.1 |
| 2019 | -1.5 | 0.8 | 1.1 | -1.2 | 0.0 | 0.9 | -1.4 | 0.0 | -0.8 | 0.7 | 0.0 | 0.2 | -1.2 |
Row
Rolling Performance Chart
Snail Trail Chart
